Description Usage Arguments Details Value Author(s) References See Also Examples

Computes the Sharpe Ratio Information Coefficient of Paulsen and Soehl, an asymptotically unbiased estimate of the out-of-sample Sharpe of the in-sample Markowitz portfolio.

1 | ```
sric(z.s)
``` |

`z.s` |
an object of type |

Let *X* be an observed *T x k* matrix whose
rows are i.i.d. normal. Let *mu* and *Sigma* be
the sample mean and sample covariance. The Markowitz portfolio is

*w = Sigma^-1 mu,*

which has an in-sample Sharpe of
*zeta = sqrt(mu' Sigma^-1 mu).*

The *Sharpe Ratio Information Criterion* is defined as

*SRIC = zeta - ((k-1) / (T zeta)).*

The expected value (over draws of *X* and of future returns)
of the *SRIC* is equal to the expected value of the out-of-sample
Sharpe of the (in-sample) portfolio *w* (again, over the same draws.)

The Sharpe Ratio Information Coefficient.

Steven E. Pav [email protected]

Paulsen, D., and Soehl, J. "Noise Fit, Estimation Error, and Sharpe Information Criterion." arxiv preprint (2016): http://arxiv.org/abs/1602.06186

Other sropt Hotelling: `inference`

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SharpeR documentation built on May 29, 2017, 5:15 p.m.

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